[Gretl-devel] Re: ivpanel numerical problem

Hi, I'm getting a matrix non-pos-def error when using the ivpanel addon. It concerns the function matrix_tsls, namely: matrix nonzero = (abs(R[diag]) .> 1.0e-12)' if minr(nonzero) == 1 V = invpd(XQ * XQ') where R is from a QR decomposition. I've checked R, and indeed there is one value just slightly above (in abs) 1e-12, it's -1.4099e-012. Then the smallest eigenvalue of XQ*XQ' comes in slightly negative at -4.8615e-011 which explains the error. [...] So the solution is apparently: remove the same regressors that Jack's felogit package removes automatically as (numerically) collinear. At least it works in my case. Perhaps the relevant code could be moved to ivpanel, because it is an addon, and then felogit could depend on it for that check.